The Traveller game I ran Friday was a smashing success. Lots of mad hijinks, and everyone's jazzed to play next time. They even managed to pay off the costs of their first jump, and are well on their way to making their monthly mortgage payment. (I mentioned that the game really ought to be called "Space Accountant," because we've never had so much fun keeping track of money.) The interested will find detailed descriptions of the game at the campaign website.
The game reminded me of one of the first things I learned about game mastering; one of the "secrets to my success," if you will. Players love to fail. Not consistently, not exclusively, and not crushingly, but the most memorable sessions I've run were when the villain got away. (Closely followed by sessions where they finally got the villain that kept getting away, but the point still stands.)
The key is making failure interesting. Having the villain escape is a pretty interesting outcome for a combat, since it gives the players a fun, straightforward goal -- get the villain! (Barring bullshit GM shenanigans, but most decent GMs know not to set up invincible super-villains. That's not cool.) Generally, players will accept any failure that opens up an obvious avenue for adventure, or that makes their situation dramatically and entertainingly worse.
Mine weren't, for example, super pleased when Nina botched her Medic rolls and let an at the time nameless NPC die, but later they found out that the NPC had been the daughter of the Warden of the planet, prompting a small "oh, nice," moment. Later, when Alice Dice failed her streetwise roll to find out where some escaped prisoners were hiding out, she was told that, "Arr, there are some prisoners hanging out in the woods! They'll probably be eaten by dragons!" instead of a simple declaration of failure.
And there are the usual reasons why failure is a good addition to a campaign. Failure gives PCs a sense of consequence to their actions. Their successes are meaningful because they work for them, not because the GM hands them out. But players also like failing; it's not just that their successes are sweeter once they finally do achieve them. (Assuming they have some hope of success -- there's no faster way to destroy a players interest in the game than to convince them that the GM is arbitrarily out to get them.)
Sure, they'll groan and throw their hands up when the villain gets away, or one of their best NPC buddies dies, or their character gets eaten by a dragon -- but those are moments when they're involved in the game, and those are the sessions that they leave ready for the next one.